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2010

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Accelerated Lattice Boltzmann Method For Colloidal Suspensions Rheology And Interface Morphology, Hassan Farhat Jan 2010

Accelerated Lattice Boltzmann Method For Colloidal Suspensions Rheology And Interface Morphology, Hassan Farhat

Wayne State University Dissertations

ABSTRACT

ACCELERATED LATTICE BOLTZMANN MODEL FOR COLLOIDAL SUSPENSIONS RHEOLOGY AND INTERFACE MORPHOLOGY

by

HASSAN FARHAT

July 2010

Advisor: Dr. Singh Trilochan

Co-Advisor: Dr. Joon Sang Lee

Major: Mechanical Engineering

Degree: Doctor of Philosophy

Colloids are ubiquitous in the food, medical, cosmetic, polymer, water purification and pharmaceutical industries. Colloids thermal, mechanical and storage properties are highly dependent on their interface morphology and their rheological behavior.

Numerical methods provide a cheap and reliable virtual laboratory for the study of colloids. However efficiency is a major concern to address when using numerical methods for practical applications.

This work introduces the main building-blocks for …


Innovative Acoustic Reflection Imaging Techniques And Application To Clinical Breast Tomography, Steve Phillip Schmidt Jan 2010

Innovative Acoustic Reflection Imaging Techniques And Application To Clinical Breast Tomography, Steve Phillip Schmidt

Wayne State University Dissertations

Conventional ultrasound techniques use beam-formed, constant sound speed ray models for fast image reconstruction. However, these techniques are inadequate for the emerging new field of ultrasound tomography (UST). We present a new technique for reconstruction of reflection images from UST data. We have extended the planar Kirchhoff migration method used in geophysics, and combined it with sound speed and attenuation data obtained from the transmission signals to create reflection ultrasound images that are corrected for refractive and attenuative effects.

The resulting techniques were applied to simulated numerical phantom data, physical phantom data and in-vivo breast data obtained with an experimental …


Impedance Spectroscopy Of Batio₃ Cubes Suspended In Lossy Liquids As A Physical Model Of Two-Phase System, Piotr Z. Jasinski, Vladimir Petrovsky, Fatih Dogan Jan 2010

Impedance Spectroscopy Of Batio₃ Cubes Suspended In Lossy Liquids As A Physical Model Of Two-Phase System, Piotr Z. Jasinski, Vladimir Petrovsky, Fatih Dogan

Materials Science and Engineering Faculty Research & Creative Works

Impedance spectroscopy techniques were used for analysis of the physical model in a two-phase system toward determining of dielectric constant of dielectric particles suspended in liquids at various solids loading (volume fraction) levels. Model experimental studies were conducted using BaTiO3 as a dielectric material that was prepared as small cubes of uniform size (2×2×1 mm). Barium titanate (BT) cubes having a dielectric constant of 3850 were immersed in liquids of low dielectric constant and moderate electrical conductivity. Measured impedance spectra consisted of two semicircles, which were fitted for (R∥C)(R∥C) equivalent circuit. The parameters obtained from fitting were compared with the …


Teleoph: A Secure Real-Time Teleophthalmology System, Yongdong Wu, Zhou Wei, Haixia Yao, Zhigang Zhao, Lek Heng Ngoh, Robert H. Deng, Shengsheng Yu Jan 2010

Teleoph: A Secure Real-Time Teleophthalmology System, Yongdong Wu, Zhou Wei, Haixia Yao, Zhigang Zhao, Lek Heng Ngoh, Robert H. Deng, Shengsheng Yu

Research Collection School Of Computing and Information Systems

Teleophthalmology (TeleOph) is an electronic counterpart of today's face-to-face, patient-to-specialist ophthalmology system. It enables one or more ophthalmologists to remotely examine a patient's condition via a confidential and authentic communication channel. Specifically, TeleOph allows a trained nonspecialist in a primary clinic to screen the patients with digital instruments (e.g., camera, ophthalmoscope). The acquired medical data are delivered to the hospital where an ophthalmologist will review the data collected and, if required, provide further consultation for the patient through a real-time secure channel established over a public Internet network. If necessary, the ophthalmologist is able to further sample the images/video of …


An Empirical Analysis Of Mobile Voice Service And Sms: A Structural Model, Youngsoo Kim, Rahul Telang, William B. Vogt, Ramayya Krishnan Jan 2010

An Empirical Analysis Of Mobile Voice Service And Sms: A Structural Model, Youngsoo Kim, Rahul Telang, William B. Vogt, Ramayya Krishnan

Research Collection School Of Computing and Information Systems

In addition to the wireless telephony boom, a similar exponentially increasing trend in wireless data service—for example, short message service (SMS)—is visible as technology advances. We develop a structural model to examine user demand for voice service and SMS. Specifically, we measure the own- and cross-price elasticities of these services. The cross-price elasticity is of significant importance because marketing activities are critically influenced by whether the goods are substitutes or complements. The research context poses significant econometric challenges due to three-part tariffs and sequential discrete plan choice and continuous quantity choice decisions. Using detailed individual consumption data of more than …


Utilizing Multimedia Case Studies To Teach The Professional Side Of Project Management, Cassandra C. Elrod, Susan L. Murray, Barry B. Flachsbart, Karl E. Burgher, Drew M. Foth Jan 2010

Utilizing Multimedia Case Studies To Teach The Professional Side Of Project Management, Cassandra C. Elrod, Susan L. Murray, Barry B. Flachsbart, Karl E. Burgher, Drew M. Foth

Business and Information Technology Faculty Research & Creative Works

This research was conducted to evaluate the effectiveness of using a LITEE multimedia case study to teaching concepts in engineering courses. The LITEE Superstar case study was implemented in an engineering Project Management course. Numerous surveys regarding student expectations, outcomes, and attitudes were collected and results are presented herein. Overall, the study provided evidence that the students felt that the LITEE case study added value to the course via the different methods of teaching material, aided in the understanding of the project selection process, and ultimately helped them be successful in their course project which was conducted for a real …


Analytical Chemistry 2.0, David Harvey Jan 2010

Analytical Chemistry 2.0, David Harvey

Chemistry & Biochemistry Faculty Publications

No abstract provided.


Comparison Of In Situ And Columnar Aerosol Spectral Measurements During Texaqs-Gomaccs 2006: Testing Parameterizations For Estimating Aerosol Fine Mode Properties, Dean B. Atkinson, Paola Massoli, Norman T. O'Neill, Patricia K. Quinn, Sarah D. Brooks, Barry Lefer Jan 2010

Comparison Of In Situ And Columnar Aerosol Spectral Measurements During Texaqs-Gomaccs 2006: Testing Parameterizations For Estimating Aerosol Fine Mode Properties, Dean B. Atkinson, Paola Massoli, Norman T. O'Neill, Patricia K. Quinn, Sarah D. Brooks, Barry Lefer

Chemistry Faculty Publications and Presentations

During the 2006 Texas Air Quality Study and Gulf of Mexico Atmospheric Composition and Climate Study (TexAQS-GoMACCS 2006), the optical, chemical and microphysical properties of atmospheric aerosols were measured on multiple mobile platforms and at ground based stations. In situ measurements of the aerosol light extinction coefficient (σep) were performed by two multi-wavelength cavity ring-down (CRD) instruments, one located on board the NOAA R/V Ronald H. Brown (RHB) and the other located at the University of Houston, Moody Tower (UHMT). An AERONET sunphotometer was also located at the UHMT to measure the columnar aerosol optical depth (AOD). The σep data …


Exploiting Glottal Formant Parameters For Glottal Inverse Filtering And Parameterization, Alan O'Cinneide, David Dorran, Mikel Gainza, Eugene Coyle Jan 2010

Exploiting Glottal Formant Parameters For Glottal Inverse Filtering And Parameterization, Alan O'Cinneide, David Dorran, Mikel Gainza, Eugene Coyle

Conference papers

It is crucial for many methods of inverse filtering that the time domain information of the glottal source waveform is known, e.g. the location of the instant of glottal closure. It is often the case that this information is unknown and/or cannot be determined due to e.g. recording conditions which can corrupt the phase spectrum. In these scenarios, alternative strategies are required. This paper describes a method which, given the parameters of the glottal formant of the signal frame, can accurately parameterize the glottal shape source and vocal filter for a broad range of voice quality types and which is …


Towards A Method To Determine The Glottal Formant Parameters Of Voiced Speech Without Time-Domain Reference, Alan O'Cinneide, David Dorran, Mikel Gainza, Eugene Coyle Jan 2010

Towards A Method To Determine The Glottal Formant Parameters Of Voiced Speech Without Time-Domain Reference, Alan O'Cinneide, David Dorran, Mikel Gainza, Eugene Coyle

Conference papers

This paper presents an approach to estimate the glottal formant parameters of the voicing source in the frequency-domain. The method is based on a simplified pole-zero interpretion of the prevalent Liljencrants-Fant (LF) model of glottal flow, and gives approximations for a broad range of pulses shapes. An advantage of the method is that, unlike other methods, it does not rely on time-domain references.


In Your Element: Green Bismuth, Ram Mohan Jan 2010

In Your Element: Green Bismuth, Ram Mohan

Scholarship

No abstract provided.


Simulation Optimisation Methods In Supply Chain Applications: A Review, Amr Arisha, Waleed Abo-Hamad Jan 2010

Simulation Optimisation Methods In Supply Chain Applications: A Review, Amr Arisha, Waleed Abo-Hamad

Articles

The competitiveness and dynamic nature of today’s marketplace is due to rapid advances in information technology, short product life cycles and the continuing trend in global outsourcing. Managing the resulting supply chain networks effectively is challenged by high levels of uncertainty in supply and demand, confl ict objectives, vagueness of information, numerous decision variables and constraints. With such levels of complexity, supply chain optimisation has the potential to make a signifi cant contribution in resolving these challenges. In this paper, a literature review – based on more than 100 peer-reviewed articles – of state-of-the-art simulation-based optimisation techniques in the context …


Modeling The Effect Of Moisture On Resilient Modulus Of Untreated Reclaimed Asphalt Pavement, Mohamed Attia, Magdy Abdelrahman Jan 2010

Modeling The Effect Of Moisture On Resilient Modulus Of Untreated Reclaimed Asphalt Pavement, Mohamed Attia, Magdy Abdelrahman

Civil, Architectural and Environmental Engineering Faculty Research & Creative Works

The use of reclaimed asphalt pavement (RAP) as a base layer is increasing as quality aggregate becomes scarcer and more expensive. Moisture content is known to have a great impact on the resilient modulus (MR) of granular materials, and several researchers have devoted effort to develop and verify analytical models to describe that impact. Limited work has been done to quantify the effect of moisture content on RAP as a base layer. It has not been determined whether the existence of aged binder will allow designers to use the same analytical models developed for granular materials. This study …


Complex Systems Architecting Using Design Primitives, Comparative Analysis And Fuzzy Analytical Feedback, Jason Paul Dauby, Cihan H. Dagli Jan 2010

Complex Systems Architecting Using Design Primitives, Comparative Analysis And Fuzzy Analytical Feedback, Jason Paul Dauby, Cihan H. Dagli

Engineering Management and Systems Engineering Faculty Research & Creative Works

Modern systems are increasing in complexity. It is advantageous to understand and control this complexity as early in the design lifecycle as possible. The system architecting community must reconcile the inherent ambiguity in a system description with the need for analytical assessments of system attributes so as to increase the likelihood of developmental success. Presently, it is commonplace to decompose systems and subsystems using assumptions of idealized severability and reliance on superposition to estimate composite performance. It is suggested that these assumptions can result in errant oversimplification and represent an opportunity for new systems engineering research. This paper introduces a …


Control Force Estimation In Seismic Building Design, Xiaozhe Zhang, Franklin Y. Cheng Jan 2010

Control Force Estimation In Seismic Building Design, Xiaozhe Zhang, Franklin Y. Cheng

Civil, Architectural and Environmental Engineering Faculty Research & Creative Works

This paper presents two approaches of estimating the control force magnitude in the building structure's seismic design. One is by spectrum average in frequency domain, and the other is by nondeterministic Monte Carlo analysis in time domain. the spectrum method is proposed to find the estimation by averaging the system's frequency response with an earthquake spectrum as a weighting factor. the nondeterministic method is based on sets of potential ground motions generated numerically. the approaches are developed in the concept of performance design, with studies based on the site potential seismic hazard and presenting results at different levels of displacement …


Precision Measurement Of The Hydrogen-Deuterium 1s-2s Isotope Shift, Christian G. Parthey, Arthur Matveev, Janis Alnis, Randolf Pohl, Thomas Udem, Ulrich D. Jentschura, Nikolai Kolachevsky, Theodor W. Hänsch Jan 2010

Precision Measurement Of The Hydrogen-Deuterium 1s-2s Isotope Shift, Christian G. Parthey, Arthur Matveev, Janis Alnis, Randolf Pohl, Thomas Udem, Ulrich D. Jentschura, Nikolai Kolachevsky, Theodor W. Hänsch

Physics Faculty Research & Creative Works

Measuring the hydrogen-deuterium isotope shift via two-photon spectroscopy of the 1S-2S transition, we obtain 670994334606(15) Hz. This is a 10-times improvement over the previous best measurement confirming its frequency value. a calculation of the difference of the mean square charge radii of deuterium and hydrogen results in r2d-r2 p=3.82007(65)fm2, a more than twofold improvement compared to the former value.


Novel Dynamic Representation And Control Of Power Systems With Facts Devices, Shahab Mehraeen, Jagannathan Sarangapani, Mariesa Crow Jan 2010

Novel Dynamic Representation And Control Of Power Systems With Facts Devices, Shahab Mehraeen, Jagannathan Sarangapani, Mariesa Crow

Electrical and Computer Engineering Faculty Research & Creative Works

FACTS devices have been shown to be useful in damping power system oscillations. However, in large power systems, the FACTS control design is complex due to the combination of differential and algebraic equations required to model the power system. In this paper, a new method to generate a nonlinear dynamic representation of the power network is introduced to enable more sophisticated control design. Once the new representation is obtained, a back stepping methodology for the UPFC is utilized to mitigate the generator oscillations. Finally, the neural network approximation property is utilized to relax the need for knowledge of the power …


Exploring Query Optimization In Programming Codes By Reducing Run-Time Execution, Venkata Krishna Suhas Nerella, Swetha Surapaneni, Sanjay Kumar Madria, Thomas Weigert Jan 2010

Exploring Query Optimization In Programming Codes By Reducing Run-Time Execution, Venkata Krishna Suhas Nerella, Swetha Surapaneni, Sanjay Kumar Madria, Thomas Weigert

Computer Science Faculty Research & Creative Works

Object querying is an abstraction of operations over collections, whereas manual implementations are performed at low level which forces the developers to specify how a task must be done. Some object-oriented languages allow the programmers to express queries explicitly in the code, which are optimized using the query optimization techniques from the database domain. in this regard, Java Query Language has been developed that allows object querying and performs the query optimization at run-time. Therefore, only one problem is how to reduce the task of query optimization at run-time as much as possible within the Java Query Language system. in …


Trends In Environmental Concern By Grade Level: A Study Of Elementary, Middle, And High School Students, Ryan David Lensing Jan 2010

Trends In Environmental Concern By Grade Level: A Study Of Elementary, Middle, And High School Students, Ryan David Lensing

Dissertations and Theses @ UNI

Environmental concern has been frequently measured since the 1970's, however, much of this research has focused on adults. Of the studies that look at students, the majority focus on high school with little attention given to middle or elementary grades. None of these studies have looked at elementary, middle, and high school students from the same population. This study uses the NEP Scale for Children in conjunction with free response questions to examine the trends in environmental concern from 120 Catholic elementary, middle school, and high school students from Des Moines, Iowa. The findings show no significant differences in levels …


Motivation Factors As Indicators Of Academic Achievement: A Comparative Study Of Student-Athletes And Non-Athletes Academic And Social Motivation, Jonell Pedescleaux Jan 2010

Motivation Factors As Indicators Of Academic Achievement: A Comparative Study Of Student-Athletes And Non-Athletes Academic And Social Motivation, Jonell Pedescleaux

Dissertations and Theses @ UNI

The purpose of this study was to investigate non-cognitive motivational factors as indicators of academic achievement of male athletes and male non-athletes as measured by a secondary data analysis of the College Student Inventory (CSI) from Fall 2003 to Fall 2005. Deci and Ryan's (2000) self-determination theory provided the conceptual framework for this study.

The CSI was administered through a survey technique. Participants in the survey sample were selected from 142 first semester freshman male athletes and male non-athletes enrolled at a Midwestern University.

The data gathered from the CSI provided information on non-cognitive variables of academic and social motivation …


Admissions Viewbook, 2010-2011, Illinois State University, Office Of Admissions Jan 2010

Admissions Viewbook, 2010-2011, Illinois State University, Office Of Admissions

Admissions Viewbook

Recruitment booklet created by Illinois State University's Office of Admissions


Useful Tips For The First Year Science Teacher, Kate Ellen Harken Jan 2010

Useful Tips For The First Year Science Teacher, Kate Ellen Harken

Graduate Research Papers

First-year science teachers can face daunting challenges in and out of the classroom. Determining your personal teaching style, establishing a classroom routine and becoming accustomed to your new job and surroundings can take a toll on teachers.


Laboratory Schools Annual Report, 2009-2010, Laboratory Schools, Illinois State University Jan 2010

Laboratory Schools Annual Report, 2009-2010, Laboratory Schools, Illinois State University

Annual Reports – Laboratory Schools

Illinois State University Laboratory Schools annual report


Real-Time Pcr Method For The Quantification Of Burkholderia Cepacia Complex Attached To Lung Epithelial Cells And Inhibitionn Of That Attachment, Ciara Wight, Gillian Herbert, Ruth Pilkington, Máire Callaghan, Siobhan Mcclean Jan 2010

Real-Time Pcr Method For The Quantification Of Burkholderia Cepacia Complex Attached To Lung Epithelial Cells And Inhibitionn Of That Attachment, Ciara Wight, Gillian Herbert, Ruth Pilkington, Máire Callaghan, Siobhan Mcclean

Articles

To develop a rapid method to quantify the attachment of the cystic fibrosis pathogen, Burkholderia multivorans, to lung epithelial cells (16HBE14o(-)) using real-time PCR with a view to monitoring potential inhibition of lung cell attachment. Mammalian and bacterial DNA were purified from bacteria attached to lung epithelial cells. The relative amount of bacteria attached was determined by amplification of the recA gene relative to the human GAPDH gene, in the presence of SYBR Green. The method was thoroughly validated and shown to correlate well with traditional plating techniques. Inhibition of bacterial attachment with simple sugars was then evaluated by real-time …


Computational Micromodel For Epigenetic Mechanisms, Karthika Raghavan, Heather J. Ruskin, Dimitri Perrin, Francois Goasmat, John Burns Jan 2010

Computational Micromodel For Epigenetic Mechanisms, Karthika Raghavan, Heather J. Ruskin, Dimitri Perrin, Francois Goasmat, John Burns

Articles

Characterization of the epigenetic profile of humans since the initial breakthrough on the human genome project has strongly established the key role of histone modifications and DNA methylation. These dynamic elements interact to determine the normal level of expression or methylation status of the constituent genes in the genome. Recently, considerable evidence has been put forward to demonstrate that environmental stress implicitly alters epigenetic patterns causing imbalance that can lead to cancer initiation. This chain of consequences has motivated attempts to computationally model the influence of histone modification and DNA methylation in gene expression and investigate their intrinsic interdependency. In …


A Surface Potential Study Of Ion-Uptake By 5,11,17,23-Tetra-Tert-Butyl-25,27-Diethoxycarbonyl Methyleneoxy-26,28,Dihydroxycalix[4]Arene And 5,17-(3-Nitrobenzylideneamino)-11,23-Di-Tert-Butyl-25,27- Diethoxycarbonyl Methyleneoxy-26,28-Dihydroxycalix[4]Arene Langmuir Blodgett (Lb) Monolayers,, Mary Deasy, James P. Ward, Fintan Kelleher, Vickie Mckee, Faridah L. Supian, Tim H. Richardson Jan 2010

A Surface Potential Study Of Ion-Uptake By 5,11,17,23-Tetra-Tert-Butyl-25,27-Diethoxycarbonyl Methyleneoxy-26,28,Dihydroxycalix[4]Arene And 5,17-(3-Nitrobenzylideneamino)-11,23-Di-Tert-Butyl-25,27- Diethoxycarbonyl Methyleneoxy-26,28-Dihydroxycalix[4]Arene Langmuir Blodgett (Lb) Monolayers,, Mary Deasy, James P. Ward, Fintan Kelleher, Vickie Mckee, Faridah L. Supian, Tim H. Richardson

Articles

A study of surface pressure - area (P-A) isotherms, surface potential (ΔV) and effective dipole moment () of two calix[4]arenes, 5,11,17,23-tetra-tert-butyl-25,27-diethoxycarbonyl methyleneoxy-26,28,dihydroxycalix[4]arene (compound I) and 5,17-(3-nitrobenzylideneamino)-11,23-di-tert-butyl-25,27-diethoxycarbonyl methyleneoxy-26,28-dihydroxycalix[4]arene (compound II) LB films which have the same lower rim but different upper rim has been carried out. This work used a NIMA Surface Potential (S-POT) sensor attached to an LB trough. Space filling model or Corey, Pauling and Koltun (CPK) precision molecular models have been used to estimate the size and the flexibility of both calix[4]arenes, which has been confirmed by X-Ray analysis in one case. …


Interaction Between Langmuir And Langmuir- Blodgett Films Of 5,11,17,23-Tetra-Tert-Butyl-25,27-Diethoxycarbonyl Methyleneoxy-26,28,Dihydroxycalix[4]Arene And 5,17-(9h-Fluoren-2-Yl)Methyleneamino)-11,23-Di-Tert-Butyl-25,27-Diethoxycarbonyl Methyleneoxy-26,28-Dihydroxycalix[4]Arene With Aqueous Copper And Lithium Ions., Mary Deasy, Fintan Kelleher, Faridah L. Supian, Tim H. Richardson, James P. Ward, Vickie Mckee Jan 2010

Interaction Between Langmuir And Langmuir- Blodgett Films Of 5,11,17,23-Tetra-Tert-Butyl-25,27-Diethoxycarbonyl Methyleneoxy-26,28,Dihydroxycalix[4]Arene And 5,17-(9h-Fluoren-2-Yl)Methyleneamino)-11,23-Di-Tert-Butyl-25,27-Diethoxycarbonyl Methyleneoxy-26,28-Dihydroxycalix[4]Arene With Aqueous Copper And Lithium Ions., Mary Deasy, Fintan Kelleher, Faridah L. Supian, Tim H. Richardson, James P. Ward, Vickie Mckee

Articles

The binding interactions between aqueous copper (Cu2þ ) and lithium (Li þ ) ions and Langmuir monolayers and Langmuir-Blodgett (LB) multilayers have been investigated by studying surface pressure-area (Π-A) isotherms and surface potential-area (ΔV-A) behavior in order to find the effective dipole moment, μ^, of the calixarene molecules in the uncomplexed and complexed states. The orientation of both calix[4]arenes, namely, 5,11,17,23-tetra-tert-butyl- 25,27-diethoxycarbonyl methyleneoxy-26,28-dihydroxycalix[4]arene and 5,17-(9H-fluoren-2-yl)methyleneamino)- 11,23-di-tert-butyl-25,27-diethoxycarbonyl methyleneoxy-26,28-dihydroxycalix[4]arene, is such that the plane of the calix ring is parallel with the plane of the water surface regardless of the ion content of the subphase. The Gibbs equation was used to interpret …


Investigating The Presuppositional Realm Of Biblical-Theological Methodology, Part Iv: Critique And Transformation, Oliver Glanz Jan 2010

Investigating The Presuppositional Realm Of Biblical-Theological Methodology, Part Iv: Critique And Transformation, Oliver Glanz

Andrews University Seminary Studies (AUSS)

No abstract provided.


Sacred Sites As Hotspots For Biodiversity: The Three Sisters Cave Complex In Coastal Kenya, Kristian Metcalfe, Richard Ffrench-Constant, Ian Gordon Jan 2010

Sacred Sites As Hotspots For Biodiversity: The Three Sisters Cave Complex In Coastal Kenya, Kristian Metcalfe, Richard Ffrench-Constant, Ian Gordon

All Peer-Reviewed Publications

Sacred sites, particularly in forests, often form unofficial protected areas because their biodiversity is preserved and protected by the local people looking after the sites. Here, we survey the biodiversity of the Three Sisters Cave complex, a sacred site or kaya in a fragment of East African coastal forest in south-east Kenya. We show that, despite the tiny size of this non-gazetted forest reserve, it contains many of the threatened species of both flora (121 species) and fauna (46 species) representative of Kenya's coastal forest. Following the overexploitation and widespread destruction of coastal rainforests in Kenya, such sacred sites represent …


Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach, Yiu Kuen Tse, Tao Yang Jan 2010

Estimation Of High-Frequency Volatility: An Autoregressive Conditional Duration Models Approach, Yiu Kuen Tse, Tao Yang

Research Collection School Of Economics

We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) models. We compare the daily volatilities estimated using the ACD models against several versions of the realized volatility (RV) method, including the bipower variation realized volatility with subsampling, the realized kernel estimate and the duration-based realized volatility. The ACD volatility estimates correlate highly with and perform very well against the RV estimates. Our Monte Carlo results show that our method has lower root mean-squared error than the RV methods in most …